Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | -0.3783 |
| Annualized Std Dev | 0.4615 |
| Annualized Sharpe (Rf=0%) | -0.8197 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 3454.0000 |
| NAs | 1.0000 |
| Minimum | -0.2312 |
| Quartile 1 | -0.0154 |
| Median | -0.0028 |
| Arithmetic Mean | -0.0015 |
| Geometric Mean | -0.0019 |
| Quartile 3 | 0.0114 |
| Maximum | 0.1873 |
| SE Mean | 0.0005 |
| LCL Mean (0.95) | -0.0024 |
| UCL Mean (0.95) | -0.0005 |
| Variance | 0.0008 |
| Stdev | 0.0291 |
| Skewness | -0.0629 |
| Kurtosis | 6.2115 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0201 |
| Gain Deviation | 0.0221 |
| Loss Deviation | 0.0203 |
| Downside Deviation (MAR=210%) | 0.0256 |
| Downside Deviation (Rf=0%) | 0.0209 |
| Downside Deviation (0%) | 0.0209 |
| Maximum Drawdown | 0.9994 |
| Historical VaR (95%) | -0.0428 |
| Historical ES (95%) | -0.0669 |
| Modified VaR (95%) | -0.0461 |
| Modified ES (95%) | -0.0727 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2008-11-21 | 2021-02-12 | NA | -0.9994 | 3007 | 2982 | NA |
| 2007-03-06 | 2007-11-06 | 2008-09-17 | -0.3892 | 381 | 164 | 217 |
| 2008-10-28 | 2008-11-04 | 2008-11-17 | -0.2782 | 15 | 6 | 9 |
| 2008-10-13 | 2008-10-13 | 2008-10-24 | -0.2243 | 10 | 1 | 9 |
| 2008-09-18 | 2008-09-19 | 2008-09-29 | -0.1206 | 8 | 2 | 6 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2007 | NA | 1.6 | -0.2 | 0 | -0.8 | 1.4 | 0.9 | -2.8 | -2.9 | 2.9 | 2.4 | 3.7 | 6.1 |
| 2008 | -3.9 | 2 | -6.8 | -5.8 | -1.1 | -0.4 | 1.4 | 4.3 | 2.2 | -1.2 | 14.7 | -1.5 | 2.3 |
| 2009 | 5.8 | 0.7 | -5.2 | -0.8 | -6.5 | -1 | 0.3 | 3.8 | 5.4 | 5.2 | -2.9 | 2 | 6 |
| 2010 | -2.9 | -2.8 | 0.1 | 4.3 | 2.2 | 0.7 | 1 | -5.6 | 0.2 | -0.5 | -4.4 | 0.6 | -7.3 |
| 2011 | -3.6 | 3.7 | 0.6 | -0.4 | 4.1 | -3.3 | 1 | 2 | 4.9 | 5.6 | -1.2 | 0.5 | 14.2 |
| 2012 | -2.2 | -1.4 | 0.2 | -0.7 | 5.7 | -6.9 | 0.9 | -1.6 | 1.1 | -3.6 | 0.8 | -3.5 | -11.1 |
| 2013 | -2 | 0 | 1.8 | 1.5 | 0.5 | -1.4 | -2.2 | 1.4 | -0.4 | 1.5 | -2.2 | -1.1 | -2.7 |
| 2014 | -0.9 | 0.9 | -3 | 0.2 | 0.2 | -2.1 | 1.3 | -0.8 | 3.7 | -3.3 | 2.1 | 1 | -1 |
| 2015 | 5 | 1.2 | -0.4 | -2.7 | -0.1 | -1.2 | 0.5 | 7.9 | 0.7 | 0.8 | -0.8 | 3.8 | 15.1 |
| 2016 | -1.2 | -3.6 | -0.2 | 1.9 | 0.9 | -0.6 | -1.3 | -0.6 | -1.2 | 1.9 | 5.6 | 2 | 3.5 |
| 2017 | -1.4 | -2.3 | -0.6 | 0.4 | -0.4 | 0.3 | 0.9 | -0.1 | -1.1 | 0.6 | 0.6 | 0.2 | -2.9 |
| 2018 | -1.2 | 3.4 | -3.9 | -0.8 | -3.4 | 0.5 | -1.1 | 0.3 | -0.4 | -1.7 | -1.6 | -0.9 | -10.4 |
| 2019 | -0.3 | -2.1 | -3 | 0.4 | 3.3 | -2.9 | 1.5 | 0.2 | 2 | -2.5 | 0.7 | -0.7 | -3.5 |
| 2020 | 4.7 | -2.1 | 8.1 | 5.4 | 0 | -0.6 | -4.3 | -3.5 | -2.1 | 5 | -2.7 | -0.2 | 6.9 |
| 2021 | -4.3 | -5.9 | -1.3 | NA | NA | NA | NA | NA | NA | NA | NA | NA | -11.2 |
Row
Price Chart
Row
Rolling Performance Chart
Row
Snail Trail Chart
